Theoretical and Applied Economics
No. 2 / 2021 (627), Summer
Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices
Mahatma Gandhi Central University, India
Abstract. This paper seeks to examine the RWH, return characteristics and various asymmetric effects of the daily returns of the DJSI (SRI) indices during pre-recession, recession, postrecession and the whole periods (December 1998 to March 2015). To achieve these objectives RWM, ARCH, GARCH, EGARCH and TARCH models are applied along with these various tests are done. ARCH measure confirms about the presence of volatility clustering. According to GARCH measure significant asymmetric shocks and persistence of conditional volatilities present in the daily returns of the SRI indices during the entire sub periods as well as the whole period. According to the EGARCH measure shows that the returns of the SRI indices are free from leverage effects except for DJSI Korea index where leverage effect exists during the recession period. For volatility forecasting not a single measure is appropriate based on various criterions (RMSE, MAE & MAPE). Only GARCH measure is appropriate during the post-recession period. It is also found that the standardised residuals are i.i.d. Finally, the returns of the SRI indices follow RWH that means the indices are informationally efficient in their weak forms and no one can predict the SRI stock price movements and earn abnormal profits by technical analysis.
Keywords: Market Efficiency, RWH, ARCH, GARCH, EGARCH, TARCH, BDS.
Contents
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on economic development
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- Causal relationship between agricultural exports
and economic growth: a diagnostic approach
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Laurel PASRICHA
- COVID-19 and CAPM: a tale of reference dependence
with the pharma stocks’ returns
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Pooja AGARWAL
- Statistical analysis on population ageing
Mădălina-Gabriela ANGHEL
Dragoș-Alexandru HAȘEGAN
- An impulse response function analysis
of the impact of modern payment technologies
on money demand in Nigeria
Tersoo IORNGURUM
Godwin NWAOBI
- Statistical analysis on the evolution
of economic activity in Romania
Constantin ANGHELACHE
Cristian Marius RĂDUȚ
Laura CONSTANTIN
- Determinants of trade flows to Agadir Agreement countries:
gravity model three-way approach
Sadok ACHOUR
Dr. Fatima HADJI
- Case study: The impact on the Romanian State Budget
in the case of EU adoption of the CCCTB Directive
Răzvan V. BALABAN
- Public expenditure and economic development:
New evidence from the BRICS-SAARC-ASEAN region
Mohd Arshad ANSARI
Faraz KHAN
Manish Kumar SINGH
- The external debt burden and economic growth in Africa:
a panel data analysis
Manamba EPAPHRA
William MESIET
- What explains the real exchange rate movement for the BRICS nations? With a separate analysis for Indian economy
Hariom ARORA
- Export supporting strategy,
distance to frontier and economic growth
Birgit KIRSCHBAUM-BEHL
- The impact of taxation on growth:
the case of Greece
Athanasios ANASTASIOU
Vasiliki KREMASTIOTI